Fixed effects models with time invariant variables: A theoretical note

Ronald L. Oaxaca; Iris Geisler

doi:10.1016/S0165-1765(03)00121-6

Fixed effects models with time invariant variables: A theoretical note

Ronald L. Oaxaca
, Iris Geisler

Research output: Contribution to journal › Article › peer-review

26 Scopus citations

Abstract

This paper demonstrates the equivalence between a consistent two-stage GLS estimator and the pooled OLS estimator of the coefficients on time invariant covariates in an unbalanced FE panel. In general the estimated standard errors differ between these two procedures.

Original language	English (US)
Pages (from-to)	373-377
Number of pages	5
Journal	Economics Letters
Volume	80
Issue number	3
DOIs	https://doi.org/10.1016/S0165-1765(03)00121-6
State	Published - Sep 1 2003
Externally published	Yes

Keywords

Panel data
Time invariant regressors

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/S0165-1765(03)00121-6

Cite this

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title = "Fixed effects models with time invariant variables: A theoretical note",

abstract = "This paper demonstrates the equivalence between a consistent two-stage GLS estimator and the pooled OLS estimator of the coefficients on time invariant covariates in an unbalanced FE panel. In general the estimated standard errors differ between these two procedures.",

keywords = "Panel data, Time invariant regressors",

author = "Oaxaca, \{Ronald L.\} and Iris Geisler",

year = "2003",

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doi = "10.1016/S0165-1765(03)00121-6",

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T2 - A theoretical note

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AU - Geisler, Iris

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N2 - This paper demonstrates the equivalence between a consistent two-stage GLS estimator and the pooled OLS estimator of the coefficients on time invariant covariates in an unbalanced FE panel. In general the estimated standard errors differ between these two procedures.

AB - This paper demonstrates the equivalence between a consistent two-stage GLS estimator and the pooled OLS estimator of the coefficients on time invariant covariates in an unbalanced FE panel. In general the estimated standard errors differ between these two procedures.

KW - Panel data

KW - Time invariant regressors

UR - https://www.scopus.com/pages/publications/0043032802

UR - https://www.scopus.com/pages/publications/0043032802#tab=citedBy

U2 - 10.1016/S0165-1765(03)00121-6

DO - 10.1016/S0165-1765(03)00121-6

M3 - Article

AN - SCOPUS:0043032802

SN - 0165-1765

VL - 80

SP - 373

EP - 377

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

Fixed effects models with time invariant variables: A theoretical note

Abstract

Keywords

ASJC Scopus subject areas

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